Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0632 |
| Annualized Std Dev | 0.4788 |
| Annualized Sharpe (Rf=0%) | -0.1320 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2856.0000 |
| NAs | 1.0000 |
| Minimum | -0.2627 |
| Quartile 1 | -0.0161 |
| Median | -0.0003 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0171 |
| Maximum | 0.2365 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0009 |
| Stdev | 0.0302 |
| Skewness | -0.0588 |
| Kurtosis | 6.6137 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0212 |
| Gain Deviation | 0.0208 |
| Loss Deviation | 0.0205 |
| Downside Deviation (MAR=210%) | 0.0258 |
| Downside Deviation (Rf=0%) | 0.0211 |
| Downside Deviation (0%) | 0.0211 |
| Maximum Drawdown | 0.9028 |
| Historical VaR (95%) | -0.0462 |
| Historical ES (95%) | -0.0663 |
| Modified VaR (95%) | -0.0459 |
| Modified ES (95%) | -0.0727 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-12-07 | 2016-01-19 | NA | -0.9028 | 2589 | 1287 | NA |
| 2009-12-03 | 2010-02-04 | 2010-05-11 | -0.2519 | 109 | 43 | 66 |
| 2010-05-13 | 2010-05-20 | 2010-09-01 | -0.1830 | 78 | 6 | 72 |
| 2010-11-09 | 2010-11-16 | 2010-12-02 | -0.1181 | 17 | 6 | 11 |
| 2010-10-14 | 2010-10-19 | 2010-11-02 | -0.0814 | 14 | 4 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 | 0.8 | 6 |
| 2010 | 7.4 | 2.1 | 3.3 | 0.6 | -1.1 | -5.1 | 1.8 | 1 | 2.4 | 0.3 | 2 | 1.5 | 17.1 |
| 2011 | 4.5 | 2.8 | -0.6 | 0.2 | -2 | -1.7 | 0.9 | -0.1 | 0.3 | -1.2 | 0.1 | 3.4 | 6.7 |
| 2012 | 0.5 | 1.4 | 1.7 | 0.3 | 6.9 | 5.6 | -0.7 | 5.4 | 0.3 | -0.4 | -1.6 | 2.8 | 24.2 |
| 2013 | 1.3 | -1.4 | -2.1 | -3.3 | -2.7 | 1.8 | -1.9 | -1.7 | -3.1 | -3.1 | 3.5 | 3.2 | -9.5 |
| 2014 | -0.2 | 0.4 | -1.1 | -2.4 | 2.1 | -2.2 | 1.3 | 1.1 | 0.7 | -6.5 | 9.8 | -0.8 | 1.5 |
| 2015 | 4.3 | 0.8 | 6.1 | 0.4 | -0.4 | -3.9 | 1.9 | -3.1 | -2.1 | -0.4 | 2.4 | 0.3 | 5.9 |
| 2016 | 3.1 | -3.7 | 1.5 | 5.9 | -0.1 | 6.5 | 1.7 | 4.8 | -1.2 | 3.3 | -0.2 | -5.8 | 16 |
| 2017 | 0.8 | 1.9 | 0.8 | -2.8 | -0.3 | 0.2 | -0.2 | 0.5 | -0.9 | 0.4 | 0.3 | -0.4 | 0.2 |
| 2018 | -0.1 | 1.6 | 1.5 | 0.6 | 0.2 | 1.6 | -0.6 | -0.4 | 0.1 | 3 | -1 | 2.6 | 9.5 |
| 2019 | -0.4 | -3 | -2.7 | -1.8 | 3.6 | -4.9 | 5.1 | 0.3 | 1.9 | 0.5 | 2.6 | -0.3 | 0.4 |
| 2020 | 1 | -9.3 | 3.8 | 2.3 | 3.9 | -0.2 | 2.6 | -1.4 | 1.7 | 1.1 | 5.4 | -1 | 9.5 |
| 2021 | 5.8 | -1.7 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-11-11 102. SPY 110. 5.10e-3 0.0498 0.025 0.0845 0.227 -0.203 -0.0583 GLD 110. 0.0112 0.0233
2 2009-11-12 99.4 SPY 109. -1.02e-2 0.0204 -0.0026 0.0818 0.270 -0.211 -0.0749 GLD 108. -0.0127 0.0115
3 2009-11-13 102. SPY 110. 5.40e-3 0.0232 -0.0008 0.115 0.202 -0.209 -0.0772 GLD 110. 0.0141 0.0215
4 2009-11-16 106 SPY 111. 1.45e-2 0.015 0.0213 0.122 0.284 -0.204 -0.0633 GLD 112. 0.0172 0.0318
5 2009-11-17 108. SPY 111. 1.20e-3 0.016 0.0141 0.114 0.303 -0.205 -0.0555 GLD 112. 0.003 0.033
6 2009-11-18 108. SPY 111. -6.00e-4 0.0102 0.0189 0.102 0.278 -0.207 -0.0616 GLD 112. 0.0025 0.0242
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
